Numerical Solutions for Stochastic Differential Games With Regime Switching Export

@article{SongYinZhang_TAC08, abstract = {<para> This paper is concerned with numerical methods for stochastic differential games of regime-switching diffusions. Numerical methods using Markov chain approximation techniques are developed. A new proof of the existence of a saddle point for the stochastic differential game is provided. This new proof enables us to treat certain systems with nonseparable (in controls) structure. Convergence of the algorithms is derived by means of weak convergence methods. In addition, examples are also provided for demonstration purposes. </para>}, author = {Song, Q. and Yin, G. G. and Zhang, Z.}, booktitle = {Automatic Control, IEEE Transactions on}, citeulike-article-id = {2635675}, citeulike-linkout-0 = {http://dx.doi.org/10.1109/TAC.2007.915169}, citeulike-linkout-1 = {http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=4471855}, doi = {10.1109/TAC.2007.915169}, journal = {Automatic Control, IEEE Transactions on}, keywords = {differential\_games, markov\_chain\_approximation, numerical\_stochastic, sde\_numerical, switched\_signals}, number = {2}, pages = {509--521}, posted-at = {2008-10-23 21:48:43}, priority = {2}, title = {Numerical Solutions for Stochastic Differential Games With Regime Switching}, url = {http://dx.doi.org/10.1109/TAC.2007.915169}, volume = {53}, year = {2008} }

TY - JOUR ID - SongYinZhang_TAC08 L3 - citeulike-article-id:2635675 N2 - <para> This paper is concerned with numerical methods for stochastic differential games of regime-switching diffusions. Numerical methods using Markov chain approximation techniques are developed. A new proof of the existence of a saddle point for the stochastic differential game is provided. This new proof enables us to treat certain systems with nonseparable (in controls) structure. Convergence of the algorithms is derived by means of weak convergence methods. In addition, examples are also provided for demonstration purposes. </para> IS - 2 JF - Automatic Control, IEEE Transactions on EP - 521 TI - Numerical Solutions for Stochastic Differential Games With Regime Switching VL - 53 T2 - Automatic Control, IEEE Transactions on SP - 509 KW - differential_games KW - markov_chain_approximation KW - numerical_stochastic KW - sde_numerical KW - switched_signals AU - Song, Q AU - Yin, GG AU - Zhang, Z PY - 2008/// UR - http://dx.doi.org/10.1109/TAC.2007.915169 ER -